Since I started that thread that Rangeball linked too, I've actually made a target and started using it, with good results.

I got a burlap bag (not always easy to come by) and put some old sofa cushions that had cotton inside of them. I was able to fit 2 in the burlap bag, 1 on top of the other. Just this was able to stop my arrows without pass-though, but then I slip a piece of carpet down the front and back to make it stop my arrows even better. I then painted circles to shoot at.